SEMINAR

The Ruin Problem in the Presence of a Long Range Gain Rule

Commissariat a l'Energie Atomique
Centre d'Etudes de Saclay
Paris, France

ABSTRACT

The ruin problem is a familiar topic in probability theory, and a brief reminder of its classical version (with a finite range gain rule) together with the connection with random walks will be given.

What happens when the issue of the game allows for "enormous" (unbounded) gains or losses? Some of the answers to that question will be reviewed within the framework of algebraic gain rules which display a power law decay ( Levy distributions).

WHERE: TEC 251

WHEN(day): Friday, November 6th, 1998

WHEN(time): 2:00pm

EVERYBODY IS INVITED